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    jsp.display-item.identifier=請使用永久網址來引用或連結此文件: https://irlib.pccu.edu.tw/handle/987654321/38170


    题名: 道瓊永續性指數(DJSI)之銀行更有效率嗎？
    Are the Banks Listed in Dow Jones Sustainability Index More Efficient than Non-listed Banks?
    作者: 邵皓翎
    贡献者: 財務金融學系
    关键词: 企業社會責任
    銀行效率
    同邊界法隨機共
    corporate social responsibility
    banking efficiency
    stochastic frontier approach
    日期: 2017
    上传时间: 2017-09-26 10:34:51 (UTC+8)
    摘要: 近年來，企業社會責任的議題日益備受關注，且許多投資人將社會責任投資指數視為一種企業社會責任之標竿，道瓊永續性指數(Dow Jones Sustainability Index, DJSI)為全球第一個追蹤永續企業之指標，故本文以被納為道瓊永續性指數(DJSI)之銀行為例，彙整出15個國家36家被納入DJSI之銀行及資產規模相當36家非被納入DJSI之銀行，研究期間為2006年至2015年，利用隨機邊界法(stochastic frontier approach; SFA)同時估計成本效率模型及無效率模型，探討銀行相關變數對被納入DJSI與非被納入DJSI之銀行效率之影響；接著本研究採用Huang, Huang, and Liu(2014)所提出的隨機共同邊界法(stochastic metafrontier approach, SMF)，估計考量環境變數下之被納入與非被納入DJSI之銀行共同成本邊界函數，進一步比較兩群銀行技術缺口效率與共同成本效率之差異。研究結果顯示，DJSI銀行的成本效率、技術缺口比率與共同成本效率普遍皆優於非DJSI銀行，而DJSI銀行在面臨金融重大事件之衝擊時，雖仍有起伏，但還是保持有較佳的效率。
    In recent years, there are great concerns about the issue of corporate social responsibility (CSR). The Dow Jones Sustainability Index (DJSI) is the first world’s index to track sustainable companies.
    In this study, we chose the banks that have been included in the DJSI. We have compiled 36 banks that are included in DJSI (DJSI banks) in 15 countries and 36 banks that are not included in DJSI (non-DJSI banks) in the same 15 countries from 2006 to 2015. First, following Battese and Coelli (1995), we implement the maximum likelihood estimation method to simultaneously estimate the stochastic cost function and the inefficient model. By respectively estimating the effect of the bank characteristic of variables on the cost efficiency of DJSI banks and non-DJSJ banks. Finally, to compare the different efficiency among all banks, we calculate the technology gap ratio (TGR) and meta-cost efficiency (MCE) for DJSI banks and non-DJSI banks employing the stochastic metafrontier approach of Huang et al. (2014). Empirical result shows that DJSI banks generally have better cost efficiency, TGR and MCE than non-DJSI banks.
    显示于类别:[財務金融學系 ] 博碩士論文

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